Moment Condition Based Estimation of Linear Dynamic Panel Data
Models
Description
Linear dynamic panel data modeling based on linear and
nonlinear moment conditions as proposed by
Holtz-Eakin, Newey, and Rosen (1988) ,
Ahn and Schmidt (1995) ,
and Arellano and Bover (1995) .
Estimation of the model parameters relies on numerical optimization
and the computation of closed form solutions. For inference and specification
testing, Windmeijer (2005)
corrected standard errors, serial correlation tests, tests for overidentification,
and Wald tests are available.